An affine model for short rates when monetary policy is path dependent Haitham A. Al-Zoubi OriginalPaper 13 May 2024
A two-factor structural model for valuing corporate securities Malek Ben-AbdellatifHatem Ben-AmeurBruno Rémillard OriginalPaper 28 April 2024
Simple is simply not enough—features versus labels of complex financial securities Martin HibbelnWerner Osterkamp OriginalPaper Open access 23 April 2024
Martingale defects in the volatility surface and bubble conditions in the underlying Philip StahlJérôme Blauth OriginalPaper Open access 19 January 2024 Pages: 85 - 111
Pricing levered warrants under the CEV diffusion model Carlos Miguel GlóriaJosé Carlos DiasAricson Cruz OriginalPaper Open access 11 January 2024 Pages: 55 - 84
Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility Yuecai HanFengtong Zhang OriginalPaper 10 January 2024 Pages: 37 - 53
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle Maik DierkesJan KrupskiPhilipp Sibbertsen OriginalPaper Open access 29 November 2023 Pages: 1 - 35
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson–Siegel model Frédéric GodinRamin EghbalzadehPatrice Gaillardetz OriginalPaper 04 October 2023 Pages: 171 - 206
Implied volatility surfaces: a comprehensive analysis using half a billion option prices Maxim UlrichLukas ZimmerConstantin Merbecks OriginalPaper Open access 30 September 2023 Pages: 135 - 169
Hedging cryptocurrency options Jovanka Lili MaticNatalie PackhamWolfgang Karl Härdle OriginalPaper Open access 10 February 2023 Pages: 91 - 133
Continuity correction: on the pricing of discrete double barrier options Sheng-Feng LuoHsin-Chieh Wong OriginalPaper Open access 24 November 2022 Pages: 51 - 90
Pricing vulnerable basket spread options with liquidity risk Ziming DongDan TangXingchun Wang OriginalPaper 17 October 2022 Pages: 23 - 50
Interest rate swaps: a comparison of compounded daily versus discrete reference rates Robert JarrowSiguang Li OriginalPaper 26 September 2022 Pages: 1 - 21
Asymptotic extrapolation of model-free implied variance: exploring structural underestimation in the VIX Index Philip Stahl OriginalPaper Open access 18 September 2022 Pages: 315 - 339
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities Matthias Muck OriginalPaper Open access 18 September 2022 Pages: 293 - 314
CMS spread options in quadratic Gaussian model Parviz RakhmonovFiruz Rakhmonov OriginalPaper 10 September 2022 Pages: 283 - 291
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach Pakorn AschakulpornJin E. Zhang OriginalPaper Open access 21 June 2022 Pages: 233 - 281
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation Jie ChenLiaoyuan FanGongqiu Zhang OriginalPaper 02 April 2022 Pages: 189 - 232
Oil futures volatility smiles in 2020: Why the bachelier smile is flatter Roza GaleevaEhud Ronn OriginalPaper 15 February 2022 Pages: 173 - 187
The impact of non-cash collateralization on the over-the-counter derivatives markets Kazuhiro Takino OriginalPaper 17 November 2021 Pages: 137 - 171
Economic policy uncertainty and volatility of treasury futures Maojun ZhangYang ZhaoJiangxia Nan OriginalPaper 03 September 2021 Pages: 93 - 107
Deep calibration of financial models: turning theory into practice Patrick BüchelMichael KratochwilDaniel Rösch OriginalPaper Open access 17 August 2021 Pages: 109 - 136
Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods Zonggang MaChaoqun MaZhijian Wu OriginalPaper 17 July 2021 Pages: 47 - 91
Optimal exercise of American put options near maturity: A new economic perspective Anna BattauzMarzia De DonnoAlessandro Sbuelz OriginalPaper Open access 28 June 2021 Pages: 23 - 46
Valuing fade-in options with default risk in Heston–Nandi GARCH models Xingchun Wang OriginalPaper 11 June 2021 Pages: 1 - 22
Does model complexity improve pricing accuracy? The case of CoCos Christian KoziolSebastian Weitz OriginalPaper Open access 12 May 2021 Pages: 261 - 284
Pricing vulnerable options with jump risk and liquidity risk Xingchun Wang OriginalPaper 17 March 2021 Pages: 243 - 260
Mean-variance hedging in the presence of estimation risk Wan-Yi Chiu OriginalPaper 11 February 2021 Pages: 221 - 241
Idiosyncratic volatility, option-based measures of informed trading, and investor attention Hannes MohrschladtJudith C. Schneider OriginalPaper Open access 28 January 2021 Pages: 197 - 220
The value of power-related options under spectrally negative Lévy processes Jean-Philippe Aguilar OriginalPaper 15 January 2021 Pages: 173 - 196
Bayesian estimation of the stochastic volatility model with double exponential jumps Jinzhi Li OriginalPaper 01 January 2021 Pages: 157 - 172
A model-free approach to multivariate option pricing Carole BernardOleg BondarenkoSteven Vanduffel OriginalPaper 27 October 2020 Pages: 135 - 155
The impact of the leverage effect on the implied volatility smile: evidence for the German option market A. W. RathgeberJ. StadlerS. Stöckl OriginalPaper Open access 15 September 2020 Pages: 95 - 133
Uncertain strike lookback options pricing with floating interest rate Lidong ZhangYanmei SunXiangbo Meng OriginalPaper 13 August 2020 Pages: 79 - 94
Diversification with options and structured products Shuonan YuanMarc Oliver Rieger OriginalPaper 23 July 2020 Pages: 55 - 77
Pricing vulnerable options in a hybrid credit risk model driven by Heston–Nandi GARCH processes Gechun LiangXingchun Wang OriginalPaper 10 June 2020 Pages: 1 - 30
Option-implied information: What’s the vol surface got to do with it? Maxim UlrichSimon Walther OriginalPaper Open access 07 May 2020 Pages: 323 - 355
Computing valuation adjustments for counterparty credit risk using a modified supervisory approach Patrick BüchelMichael KratochwilDaniel Rösch OriginalPaper Open access 14 January 2020 Pages: 273 - 322
A note on options and bubbles under the CEV model: implications for pricing and hedging José Carlos DiasJoão Pedro Vidal NunesAricson Cruz OriginalPaper 24 September 2019 Pages: 249 - 272
Portfolio construction using bootstrapping neural networks: evidence from global stock market Hsiao-Fen HsiaoJiang-Chuan HuangZheng-Wei Lin OriginalPaper 25 July 2019 Pages: 227 - 247
Approaching rainfall-based weather derivatives pricing and operational challenges Andrea Martínez SalgueiroMaria-Antonia Tarrazon-Rodon OriginalPaper 08 July 2019 Pages: 163 - 190
Yield curves from different bond data sets Antonio DíazFrancisco JareñoEliseo Navarro OriginalPaper 05 July 2019 Pages: 191 - 226
A generalization of option pricing to price-limit markets Jia-Hau GuoLung-Fu Chang OriginalPaper 03 July 2019 Pages: 145 - 161
Time consistent pricing of options with embedded decisions G. DorfleitnerJ. Gerer OriginalPaper 04 May 2019 Pages: 85 - 119
Valuing American-style options under the CEV model: an integral representation based method Aricson CruzJosé Carlos Dias OriginalPaper 29 April 2019 Pages: 63 - 83
Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints Ana M. MonteiroAntonio A. F. Santos OriginalPaper 20 March 2019 Pages: 41 - 61
Option-implied Value-at-Risk and the cross-section of stock returns Manuel AmmannAlexander Feser OriginalPaper 04 March 2019 Pages: 449 - 474
Towards a \(\Delta \)-Gamma Sato multivariate model Lynn BoenFlorence Guillaume OriginalPaper 27 February 2019 Pages: 1 - 39
